You will need to decrease the leading (line-spacing) value.
This is what happens if I decrease the leading even 1 pt.
You will need two different pallets to get the result you want.
Space between paragraphs in the paragraph pallet and leading in the character pallet
Try to unchek "Align paragraphs to the baseline grid".
You could do it in the paragraph style or locally you could select paragraphs and click on the icon "Don't Align To Baseline Grid" as in my screenshot
If a 1 pt change makes that much of a difference, then those paragraphs are definitely on a baseline grid, as per @vladan saveljic. If you aren't using paragraph styles—hopefully you are, so his two answers will solve this for you—you can also take those paragraphs off the grid in the Type > Paragraphs.